Genes of the major histocompatibility complex (MHC) have been shown to influence social signalling and mate preferences in many species, including humans. First observations suggest that MHC signalling may also affect female fertility. To test this hypothesis, we exposed 191 female horses (Equus caballus) to either an MHC-similar or an MHC-dissimilar stimulus male around the time of ovulation and conception. A within-subject experimental design controlled for non-MHC-linked male characteristics, and instrumental insemination with semen of other males (n = 106) controlled for potential confounding effects of semen or embryo characteristics. We found that females were more likely to become pregnant if exposed to an MHC-dissimilar than to an MHC-similar male, while overall genetic distance to the stimulus males (based on microsatellite markers on 20 chromosomes) had no effect. Our results demonstrate that early pregnancy failures can be due to maternal life-history decisions (cryptic female choice) influenced by MHC-linked social signalling.